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Keywords: Macro stress test
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Journal Articles
Macro stress test for credit risk
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2015) 16 (5): 554–574.
Published: 16 November 2015
...Masayasu Kanno Purpose – The purpose of this study is to analyze the benchmark model and offer a practical implementation of the macro stress test. The emergence of complicated instruments such as securitized products has rendered the risk management methodologies used in non-crisis periods...
